Arithmetic Brownian motion and real options

DOI10.1016/j.ejor.2011.12.023zbMath1244.91087OpenAlexW2073969069MaRDI QIDQ439622

Mengjia Mo, Alan Fraser Stent, David Richard Alexander

Publication date: 16 August 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.12.023

zbMATH Keywords

investment analysisreal optionsrisk-neutral valuationarithmetic Brownian motion

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (7)

Pricing exotic derivatives exploiting structure ⋮ Early exercise boundaries for American-style knock-out options ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ Model risk in real option valuation ⋮ Photovoltaic smart grids in the prosumers investment decisions: a real option model ⋮ Real options in operations research: a review ⋮ Valuing multistage investment projects in the pharmaceutical industry

Cites Work

• Unnamed Item
• On pricing of credit spread options
• Project options valuation with net present value and decision tree analysis
• Valuing Risky Projects: Option Pricing Theory and Decision Analysis
• Stochastic differential equations. An introduction with applications.

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